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The objective of this paper is to provide a comprehensive study no-arbitragepricing of financial derivatives in the presence of funding costs, thecounterparty credit risk and market frictions affecting the trading mechanism,such as collateralization and capital requirements. To achieve our goals, weextend in several respects the nonlinear pricing approach developed in ElKaroui and Quenez (1997) and El Karoui et al. (1997), which was subsequentlycontinued in Bielecki and Rutkowski (2015).

Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models